OPTIMAL INVESTMENT-REINSURANCE STRATEGY IN THE CORRELATED INSURANCE AND FINANCIAL MARKETS

被引：0

作者：

Xing, Xiaoyu ^{[1
]}

Geng, Caixia ^{[1
]}

机构：

[1] Hebei Univ Technol, Sch Sci, Tianjin 300401, Peoples R China

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2021年 / 18卷 / 05期

关键词：

Correlated markets; exponential utility; stochastic optional control; Duhamel's principle; DIFFUSION RISK PROCESS; CONSTANT ELASTICITY; PROPORTIONAL REINSURANCE; INSURER; MODEL;

D O I：

10.3934/jimo.2021120

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

Within the correlated insurance and financial markets, we consider the optimal reinsurance and asset allocation strategies. In this paper, the risk asset is assumed to follow a general continuous diffusion process driven by a Brownian motion, which correlates to the insurer's surplus process. We propose a novel approach to derive the optimal investment-reinsurance strategy and value function for an exponential utility function. To illustrate this, we show how to derive the explicit closed strategies and value functions when the risk asset is the CEV model, 3/2 model and Merton's IR model respectively.

引用

页码：3445 / 3459

页数：15

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